Abstract
The robust H ∞ filtering problem with error variance constraints is considered for discrete time-varying systems subject to norm-bounded parameter uncertainties in both the state and the output matrices of the state–space model. Sufficient conditions for a finite-horizon filter to satisfy state estimation error variance constraints as well as prescribed H ∞ performance for all admissible perturbations are given in terms of two discrete Riccati difference equations, which are of a form suitable for recursive computation. The results are extended to cover the case of stationary filtering over an infinite-horizon for uncertain time-invariant systems.
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